Do Asset Prices Reflect Fundamentals? Freshly Squeezed Evidence From the FCOJ Market
- Topics:
- Investment and Capital Markets
- Tags:
- Asset,
- Asset Management,
- Asset Price,
- Business Operations,
- New York University,
- Operational Planning,
- Temperature
- Source:
- New York University
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Overview: This paper reexamines frozen concentrated orange juice (FCOJ) futures returns as they relate to fundamentals, in particular, temperature. The paper shows that when theory clearly identifies the fundamental, i.e., at temperatures close to or below freezing, there is a close link between FCOJ prices and that fundamental. Using a simple theoretical nonlinear model of the relation between FCOJ returns and temperature, the paper explains approximately 50% of the return variation.
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Format: PDF | Size: 421KB | Date: Jun 2002 | Pages: 51
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